Well, I think there's some software out there that records keystrokes and stuff, but I'm not sure if that can tell all that much - if you're going places on the net there's no way to record the mouse clicks.
I do know that there is a piece of software, I think it's caled Watchdog or something like that, that someone can install and it runs as a service in the background. It takes a snapshot of your screen at prescribed intervals (like maybe every 5 seconds) and makes the screen shot available to an admin on a remote machine. So they can see what you see, all the time. It's sneaky because the only thing that's on the local computer is an executable (I think they put it in the system folder within the windows or winnt folder) and a registry entry that starts the process on bootup. So only someone savvy enough to know that there's a funny process that doesn't belong when looking at Task Manager would be able to figure it out. It's got a cryptic name too, something like sym32i.exe, so it looks like it belongs.
I check my Task Manager every so often, looking for weird shit. If I find a service or process running that I don't know, I go somehwere like groups.google.com and serach for it, to see if I can find out why it's there and what it does.